Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Year of publication: |
2011
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Authors: | Takahashi, Akihiko ; Tsuzuki, Yukihiro ; Yamazaki, Akira |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 4, p. 485-505
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Subject: | European derivatives | Black-Scholes delta hedging | uncertain volatility risk | polynomial variance swap | Volatilität | Volatility | Hedging | Derivat | Derivative | Swap | EU-Staaten | EU countries | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Risiko | Risk |
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